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Nash Equilibrium in a Pay-as-bid Electricity Market: Part 1 - Existence and Characterisation

Didier Aussel(aussel***at***univ-perp.fr)
Pascale Bendotti(pascale.bendotti***at***lip6.fr)
Miroslav Pistek(pistek***at***utia.cas.cz)

Abstract: We consider a model of a pay-as-bid electricity market based on a multi-leader-common-follower approach where the producers as leaders are at the upper level and the regulator as a common follower is at the lower level. We fully characterise Nash equilibria for this model by describing necessary and sufficient conditions for their existence as well as providing explicit formulas of such equilibria in the market.

Keywords: electricity market; multi-leader-follower game; Nash equilibrium; best response

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Category 2: Applications -- OR and Management Sciences (Finance and Economics )

Citation: submitted - 2015

Download: [PDF]

Entry Submitted: 01/25/2016
Entry Accepted: 01/25/2016
Entry Last Modified: 01/25/2016

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